Ilze Kalnina
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Works (4)
2022 article
Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas
Kalnina, I. (2022, March 29). JOURNAL OF BUSINESS & ECONOMIC STATISTICS.
author keywords: Market microstructure noise; Realized volatility; Subsampling
www.cireqmontreal.com (repository)
Source: Web Of Science
Added: April 18, 2022
2017 journal article
Nonparametric Estimation of the Leverage Effect: A Trade-Off Between Robustness and Efficiency
Journal of the American Statistical Association, 112(517), 384–396.
author keywords: Derivatives; High-frequency data; Implied volatility; Spot correlation; VIX
Source: Crossref
Added: August 28, 2020
2011 journal article
Subsampling high frequency data
Journal of Econometrics, 161(2), 262–283.
author keywords: Subsampling; Market microstructure noise; High frequency data; Realised volatility
Source: Crossref
Added: October 25, 2020
2008 journal article
Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error
Journal of Econometrics, 147(1), 47–59.
author keywords: Endogenous noise; Market microstucture; Realised volatility; Semimartingale
Source: Crossref
Added: August 28, 2020
